Market Action

February 25, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.5233 % 2,300.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5233 % 4,221.0
Floater 3.76 % 3.79 % 51,417 17.81 3 -0.5233 % 2,432.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0073 % 3,672.9
SplitShare 4.70 % 4.17 % 36,098 4.19 8 0.0073 % 4,386.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0073 % 3,422.3
Perpetual-Premium 5.35 % 2.92 % 71,401 0.13 19 -0.0618 % 3,238.9
Perpetual-Discount 4.98 % 5.00 % 96,665 15.41 13 -1.0969 % 3,724.4
FixedReset Disc 4.54 % 3.85 % 181,396 17.28 56 0.7783 % 2,584.2
Insurance Straight 5.00 % 4.78 % 79,514 15.29 22 -0.3718 % 3,603.8
FloatingReset 3.09 % 2.66 % 29,737 20.57 2 1.4503 % 2,283.8
FixedReset Prem 5.13 % 2.59 % 234,783 0.89 20 0.0384 % 2,710.9
FixedReset Bank Non 1.80 % 1.83 % 219,067 0.49 1 0.0400 % 2,892.0
FixedReset Ins Non 4.42 % 3.70 % 132,946 17.79 22 0.4422 % 2,777.7
Performance Highlights
Issue Index Change Notes
CU.PR.G Perpetual-Discount -5.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 22.58
Evaluated at bid price : 22.85
Bid-YTW : 4.93 %
CU.PR.E Perpetual-Discount -3.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 23.90
Evaluated at bid price : 24.15
Bid-YTW : 5.09 %
BIP.PR.A FixedReset Disc -2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 21.69
Evaluated at bid price : 22.03
Bid-YTW : 4.88 %
CU.PR.D Perpetual-Discount -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 24.28
Evaluated at bid price : 24.55
Bid-YTW : 5.00 %
MFC.PR.B Insurance Straight -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 24.22
Evaluated at bid price : 24.48
Bid-YTW : 4.74 %
BAM.PR.K Floater -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 11.33
Evaluated at bid price : 11.33
Bid-YTW : 3.82 %
CU.PR.F Perpetual-Discount -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 23.44
Evaluated at bid price : 23.70
Bid-YTW : 4.75 %
MFC.PR.C Insurance Straight -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 23.95
Evaluated at bid price : 24.20
Bid-YTW : 4.64 %
BIP.PR.E FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 23.14
Evaluated at bid price : 24.01
Bid-YTW : 5.16 %
IAF.PR.B Insurance Straight -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 24.16
Evaluated at bid price : 24.41
Bid-YTW : 4.69 %
SLF.PR.G FixedReset Ins Non -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 3.74 %
MFC.PR.Q FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 23.09
Evaluated at bid price : 23.99
Bid-YTW : 3.63 %
TD.PF.D FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 22.67
Evaluated at bid price : 23.68
Bid-YTW : 3.70 %
BAM.PF.A FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 22.16
Evaluated at bid price : 22.50
Bid-YTW : 4.43 %
TRP.PR.K FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.53
Bid-YTW : 3.18 %
BNS.PR.I FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 23.16
Evaluated at bid price : 24.40
Bid-YTW : 3.53 %
PWF.PR.T FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 21.86
Evaluated at bid price : 22.14
Bid-YTW : 3.82 %
TRP.PR.A FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 15.74
Evaluated at bid price : 15.74
Bid-YTW : 4.73 %
TRP.PR.F FloatingReset 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 14.28
Evaluated at bid price : 14.28
Bid-YTW : 3.59 %
TD.PF.C FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 22.23
Evaluated at bid price : 22.80
Bid-YTW : 3.55 %
PWF.PR.P FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 3.85 %
RY.PR.J FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 22.56
Evaluated at bid price : 23.44
Bid-YTW : 3.70 %
SLF.PR.J FloatingReset 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 2.66 %
BMO.PR.S FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 22.19
Evaluated at bid price : 22.65
Bid-YTW : 3.62 %
BAM.PF.B FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 20.49
Evaluated at bid price : 20.49
Bid-YTW : 4.52 %
GWO.PR.N FixedReset Ins Non 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 3.55 %
NA.PR.S FixedReset Disc 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 21.81
Evaluated at bid price : 22.10
Bid-YTW : 3.83 %
NA.PR.W FixedReset Disc 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 21.51
Evaluated at bid price : 21.51
Bid-YTW : 3.80 %
MFC.PR.M FixedReset Ins Non 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 22.27
Evaluated at bid price : 22.85
Bid-YTW : 3.59 %
MFC.PR.F FixedReset Ins Non 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 3.55 %
BAM.PR.R FixedReset Disc 2.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.50 %
BAM.PR.T FixedReset Disc 3.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 17.99
Evaluated at bid price : 17.99
Bid-YTW : 4.50 %
TRP.PR.B FixedReset Disc 3.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 11.90
Evaluated at bid price : 11.90
Bid-YTW : 4.34 %
TRP.PR.C FixedReset Disc 3.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 12.84
Evaluated at bid price : 12.84
Bid-YTW : 4.49 %
CU.PR.C FixedReset Disc 4.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 20.57
Evaluated at bid price : 20.57
Bid-YTW : 3.99 %
TD.PF.B FixedReset Disc 5.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 22.36
Evaluated at bid price : 22.94
Bid-YTW : 3.49 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.A FixedReset Prem 413,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.38
Bid-YTW : 2.52 %
BAM.PR.R FixedReset Disc 192,273 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.50 %
CU.PR.F Perpetual-Discount 174,691 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 23.44
Evaluated at bid price : 23.70
Bid-YTW : 4.75 %
BAM.PR.X FixedReset Disc 164,046 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 15.24
Evaluated at bid price : 15.24
Bid-YTW : 4.44 %
MIC.PR.A Perpetual-Premium 161,778 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2030-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 5.17 %
TRP.PR.B FixedReset Disc 142,306 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 11.90
Evaluated at bid price : 11.90
Bid-YTW : 4.34 %
TRP.PR.G FixedReset Disc 103,348 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 19.76
Evaluated at bid price : 19.76
Bid-YTW : 4.70 %
CU.PR.H Perpetual-Premium 102,087 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-01
Maturity Price : 25.50
Evaluated at bid price : 25.85
Bid-YTW : 4.19 %
There were 57 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.A FixedReset Disc Quote: 15.74 – 17.95
Spot Rate : 2.2100
Average : 1.2244

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 15.74
Evaluated at bid price : 15.74
Bid-YTW : 4.73 %
CU.PR.G Perpetual-Discount Quote: 22.85 – 24.15
Spot Rate : 1.3000
Average : 0.7182

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 22.58
Evaluated at bid price : 22.85
Bid-YTW : 4.93 %
CU.PR.E Perpetual-Discount Quote: 24.15 – 25.15
Spot Rate : 1.0000
Average : 0.5933

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 23.90
Evaluated at bid price : 24.15
Bid-YTW : 5.09 %
BAM.PR.Z FixedReset Disc Quote: 21.60 – 22.50
Spot Rate : 0.9000
Average : 0.6173

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 4.57 %
TD.PF.A FixedReset Disc Quote: 22.46 – 23.08
Spot Rate : 0.6200
Average : 0.3859

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 22.03
Evaluated at bid price : 22.46
Bid-YTW : 3.56 %
CU.PR.I FixedReset Prem Quote: 25.68 – 26.40
Spot Rate : 0.7200
Average : 0.5087

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.68
Bid-YTW : 3.88 %
Market Action

February 24, 2021

PerpetualDiscounts now yield 4.97%, equivalent to 6.46% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.16%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is slightly (and perhaps spuriously) narrower at 330bp than the 335bp reported February 17.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.6068 % 2,312.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.6068 % 4,243.2
Floater 3.74 % 3.77 % 51,764 17.86 3 -0.6068 % 2,445.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1609 % 3,672.6
SplitShare 4.70 % 4.16 % 36,248 4.19 8 -0.1609 % 4,385.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1609 % 3,422.0
Perpetual-Premium 5.35 % 2.76 % 71,541 0.08 19 -0.0227 % 3,240.9
Perpetual-Discount 4.92 % 4.97 % 98,783 15.43 13 -0.1400 % 3,765.7
FixedReset Disc 4.57 % 3.74 % 179,119 17.57 56 -0.0312 % 2,564.2
Insurance Straight 4.97 % 4.67 % 77,241 15.29 22 -0.2295 % 3,617.3
FloatingReset 3.12 % 2.68 % 30,546 20.51 2 0.3194 % 2,251.2
FixedReset Prem 5.12 % 3.19 % 235,394 0.90 20 0.0727 % 2,709.9
FixedReset Bank Non 1.81 % 1.86 % 202,821 0.92 1 -0.0400 % 2,890.8
FixedReset Ins Non 4.43 % 3.52 % 131,013 18.13 22 0.1170 % 2,765.5
Performance Highlights
Issue Index Change Notes
TD.PF.B FixedReset Disc -3.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-24
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 3.52 %
BAM.PR.Z FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-24
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 4.36 %
GWO.PR.I Insurance Straight -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-24
Maturity Price : 23.84
Evaluated at bid price : 24.09
Bid-YTW : 4.73 %
BAM.PF.G FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-24
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 4.39 %
GWO.PR.N FixedReset Ins Non -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-24
Maturity Price : 14.45
Evaluated at bid price : 14.45
Bid-YTW : 3.35 %
MFC.PR.C Insurance Straight -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-24
Maturity Price : 24.21
Evaluated at bid price : 24.50
Bid-YTW : 4.58 %
PWF.PR.P FixedReset Disc 4.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-24
Maturity Price : 15.13
Evaluated at bid price : 15.13
Bid-YTW : 3.66 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.E FixedReset Prem 512,825 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 3.19 %
NA.PR.X FixedReset Prem 180,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 2.38 %
BMO.PR.Y FixedReset Disc 133,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-24
Maturity Price : 22.10
Evaluated at bid price : 22.65
Bid-YTW : 3.61 %
CU.PR.G Perpetual-Discount 61,570 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-24
Maturity Price : 23.96
Evaluated at bid price : 24.25
Bid-YTW : 4.64 %
CM.PR.R FixedReset Disc 61,043 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-24
Maturity Price : 23.76
Evaluated at bid price : 25.00
Bid-YTW : 4.02 %
TRP.PR.D FixedReset Disc 56,876 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-24
Maturity Price : 18.22
Evaluated at bid price : 18.22
Bid-YTW : 4.41 %
There were 36 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.B FixedReset Disc Quote: 21.70 – 22.53
Spot Rate : 0.8300
Average : 0.4829

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-24
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 3.52 %
BAM.PR.Z FixedReset Disc Quote: 21.60 – 22.08
Spot Rate : 0.4800
Average : 0.3073

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-24
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 4.36 %
BMO.PR.S FixedReset Disc Quote: 22.30 – 22.62
Spot Rate : 0.3200
Average : 0.2066

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-24
Maturity Price : 21.95
Evaluated at bid price : 22.30
Bid-YTW : 3.49 %
TRP.PR.D FixedReset Disc Quote: 18.22 – 18.88
Spot Rate : 0.6600
Average : 0.5821

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-24
Maturity Price : 18.22
Evaluated at bid price : 18.22
Bid-YTW : 4.41 %
TRP.PR.G FixedReset Disc Quote: 19.75 – 20.00
Spot Rate : 0.2500
Average : 0.1724

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-24
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 4.52 %
MFC.PR.L FixedReset Ins Non Quote: 21.35 – 21.71
Spot Rate : 0.3600
Average : 0.2877

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-24
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 3.48 %
Market Action

February 23, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 1.3470 % 2,326.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.3470 % 4,269.1
Floater 3.72 % 3.74 % 52,252 17.91 3 1.3470 % 2,460.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0805 % 3,678.5
SplitShare 4.69 % 4.09 % 35,111 4.20 8 0.0805 % 4,392.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0805 % 3,427.5
Perpetual-Premium 5.35 % 2.96 % 71,938 0.14 19 0.0825 % 3,241.7
Perpetual-Discount 4.92 % 4.97 % 91,405 15.44 13 0.1871 % 3,771.0
FixedReset Disc 4.57 % 3.74 % 178,433 17.55 56 0.3042 % 2,565.0
Insurance Straight 4.96 % 4.63 % 79,022 15.35 22 -0.0108 % 3,625.6
FloatingReset 3.13 % 2.68 % 28,138 20.51 2 -0.0355 % 2,244.0
FixedReset Prem 5.13 % 3.14 % 222,322 0.90 20 0.0904 % 2,707.9
FixedReset Bank Non 1.80 % 1.81 % 198,915 0.93 1 0.0000 % 2,892.0
FixedReset Ins Non 4.44 % 3.53 % 129,613 18.14 22 0.2200 % 2,762.2
Performance Highlights
Issue Index Change Notes
GWO.PR.F Insurance Straight -1.28 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-03-25
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : -3.84 %
MFC.PR.F FixedReset Ins Non -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 3.33 %
BAM.PF.F FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 21.22
Evaluated at bid price : 21.22
Bid-YTW : 4.32 %
BAM.PF.G FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 4.34 %
MFC.PR.N FixedReset Ins Non 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 21.86
Evaluated at bid price : 22.25
Bid-YTW : 3.45 %
MFC.PR.O FixedReset Ins Non 1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 2.54 %
GWO.PR.N FixedReset Ins Non 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 3.31 %
SLF.PR.C Insurance Straight 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 24.46
Evaluated at bid price : 24.70
Bid-YTW : 4.56 %
BAM.PR.B Floater 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 11.57
Evaluated at bid price : 11.57
Bid-YTW : 3.74 %
MFC.PR.J FixedReset Ins Non 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 3.53 %
TRP.PR.G FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 4.49 %
BAM.PR.R FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 17.37
Evaluated at bid price : 17.37
Bid-YTW : 4.32 %
NA.PR.G FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 23.13
Evaluated at bid price : 24.25
Bid-YTW : 3.68 %
CM.PR.R FixedReset Disc 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 23.75
Evaluated at bid price : 25.00
Bid-YTW : 4.02 %
BAM.PR.K Floater 2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 11.60
Evaluated at bid price : 11.60
Bid-YTW : 3.73 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.B FixedReset Prem 206,575 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : 2.58 %
RY.PR.H FixedReset Disc 205,870 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 22.04
Evaluated at bid price : 22.45
Bid-YTW : 3.37 %
TD.PF.A FixedReset Disc 170,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 21.97
Evaluated at bid price : 22.37
Bid-YTW : 3.38 %
BNS.PR.H FixedReset Prem 165,435 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 2.41 %
BMO.PR.W FixedReset Disc 126,450 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 3.51 %
BAM.PF.G FixedReset Disc 111,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 4.34 %
BAM.PR.R FixedReset Disc 107,140 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 17.37
Evaluated at bid price : 17.37
Bid-YTW : 4.32 %
There were 31 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.I FixedReset Prem Quote: 25.66 – 26.40
Spot Rate : 0.7400
Average : 0.4491

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.66
Bid-YTW : 3.89 %
EIT.PR.B SplitShare Quote: 25.80 – 26.80
Spot Rate : 1.0000
Average : 0.7210

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 3.89 %
TRP.PR.D FixedReset Disc Quote: 18.22 – 18.88
Spot Rate : 0.6600
Average : 0.4967

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 18.22
Evaluated at bid price : 18.22
Bid-YTW : 4.41 %
SLF.PR.B Insurance Straight Quote: 25.05 – 25.45
Spot Rate : 0.4000
Average : 0.2665

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 24.83
Evaluated at bid price : 25.05
Bid-YTW : 4.85 %
MFC.PR.F FixedReset Ins Non Quote: 15.55 – 15.97
Spot Rate : 0.4200
Average : 0.3273

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 3.33 %
MIC.PR.A Perpetual-Premium Quote: 25.55 – 25.80
Spot Rate : 0.2500
Average : 0.1638

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2030-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 5.14 %
Market Action

February 22, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.2642 % 2,295.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2642 % 4,212.3
Floater 3.77 % 3.80 % 52,377 17.79 3 0.2642 % 2,427.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.2494 % 3,675.5
SplitShare 4.70 % 4.15 % 35,038 4.20 8 0.2494 % 4,389.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2494 % 3,424.8
Perpetual-Premium 5.35 % 3.79 % 72,972 0.15 19 -0.2612 % 3,239.0
Perpetual-Discount 4.93 % 4.98 % 92,684 15.42 13 -0.0125 % 3,764.0
FixedReset Disc 4.59 % 3.76 % 178,093 17.55 56 0.2040 % 2,557.3
Insurance Straight 4.96 % 4.61 % 79,302 15.33 22 -0.1691 % 3,626.0
FloatingReset 3.13 % 2.68 % 28,224 20.52 2 -0.8442 % 2,244.8
FixedReset Prem 5.13 % 3.08 % 222,995 0.90 20 -0.0688 % 2,705.4
FixedReset Bank Non 1.80 % 1.80 % 200,778 0.93 1 0.0000 % 2,892.0
FixedReset Ins Non 4.45 % 3.57 % 128,443 18.07 22 0.1911 % 2,756.2
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 14.45
Evaluated at bid price : 14.45
Bid-YTW : 3.83 %
CM.PR.R FixedReset Disc -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 24.14
Evaluated at bid price : 24.50
Bid-YTW : 4.17 %
SLF.PR.C Insurance Straight -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 24.15
Evaluated at bid price : 24.40
Bid-YTW : 4.61 %
SLF.PR.J FloatingReset -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 2.68 %
RY.PR.N Perpetual-Premium -1.45 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-11-24
Maturity Price : 25.00
Evaluated at bid price : 25.74
Bid-YTW : 4.06 %
SLF.PR.E Insurance Straight -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 24.46
Evaluated at bid price : 24.70
Bid-YTW : 4.61 %
MFC.PR.O FixedReset Ins Non -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 24.71
Evaluated at bid price : 25.21
Bid-YTW : 5.67 %
CU.PR.C FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 3.94 %
CU.PR.F Perpetual-Discount 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 23.76
Evaluated at bid price : 24.22
Bid-YTW : 4.64 %
SLF.PR.H FixedReset Ins Non 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 20.98
Evaluated at bid price : 20.98
Bid-YTW : 3.41 %
BAM.PR.C Floater 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 11.42
Evaluated at bid price : 11.42
Bid-YTW : 3.79 %
IAF.PR.B Insurance Straight 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 24.92
Evaluated at bid price : 25.15
Bid-YTW : 4.63 %
TRP.PR.B FixedReset Disc 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 11.35
Evaluated at bid price : 11.35
Bid-YTW : 4.21 %
MFC.PR.J FixedReset Ins Non 3.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 23.31
Evaluated at bid price : 23.64
Bid-YTW : 3.58 %
TRP.PR.C FixedReset Disc 7.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 12.40
Evaluated at bid price : 12.40
Bid-YTW : 4.35 %
Volume Highlights
Issue Index Shares
Traded		 Notes
IFC.PR.A FixedReset Ins Non 156,079 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 3.57 %
MIC.PR.A Perpetual-Premium 94,243 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2030-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 5.19 %
RY.PR.Q FixedReset Prem 85,830 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.19
Bid-YTW : 2.32 %
BNS.PR.E FixedReset Prem 73,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 3.08 %
MFC.PR.O FixedReset Ins Non 63,930 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 24.71
Evaluated at bid price : 25.21
Bid-YTW : 5.67 %
SLF.PR.I FixedReset Ins Non 61,980 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 23.62
Evaluated at bid price : 24.19
Bid-YTW : 3.52 %
There were 38 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.X FixedReset Disc Quote: 15.20 – 17.25
Spot Rate : 2.0500
Average : 1.2418

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 4.13 %
PVS.PR.H SplitShare Quote: 25.63 – 26.63
Spot Rate : 1.0000
Average : 0.5960

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.63
Bid-YTW : 4.21 %
SLF.PR.C Insurance Straight Quote: 24.40 – 24.95
Spot Rate : 0.5500
Average : 0.3392

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 24.15
Evaluated at bid price : 24.40
Bid-YTW : 4.61 %
MFC.PR.Q FixedReset Ins Non Quote: 23.70 – 24.19
Spot Rate : 0.4900
Average : 0.3167

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 22.94
Evaluated at bid price : 23.70
Bid-YTW : 3.49 %
CM.PR.R FixedReset Disc Quote: 24.50 – 24.95
Spot Rate : 0.4500
Average : 0.2794

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 24.14
Evaluated at bid price : 24.50
Bid-YTW : 4.17 %
BNS.PR.I FixedReset Disc Quote: 24.10 – 24.49
Spot Rate : 0.3900
Average : 0.2820

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 23.03
Evaluated at bid price : 24.10
Bid-YTW : 3.40 %
Issue Comments

FN.PR.A & FN.PR.B To Be Extended

First National Financial Corporation has announced (although not yet on their website):

that it does not intend to exercise its right to redeem the currently outstanding 2,887,147 cumulative 5-year rate reset Class A Preference Shares, Series 1 of First National (“Series 1 Preference Shares”) or 1,112,853 cumulative floating rate reset Class A Preference Shares, Series 2 of First National (“Series 2 Preference Shares”) on March 31, 2021.

As a result, subject to certain conditions, the holders of Series 1 Preference Shares have the right to convert all or part of their Series 1 Preference Shares on a one-for-one basis into Series 2 Preference Shares on March 31, 2021. As well, subject to certain conditions, the holders of Series 2 Preference Shares have the right to convert all or part of their Series 2 Preference Shares on a one-for-one basis into Series 1 Preference Shares on March 31, 2021. Holders who do not exercise their right to convert their Series 1 Preference Shares into Series 2 Preference Shares will retain their Series 1 Preference Shares. Holders who do not exercise their right to convert their Series 2 Preference Shares into Series 1 Preference Shares will retain their Series 2 Preference Shares.

The foregoing conversions are subject to the conditions that: (i) if First National determines that there would be less than 1,000,000 Series 1 Preference Shares outstanding on March 31, 2021, then all remaining Series 1 Preference Shares will automatically be converted into Series 2 Preference Shares on a one-for-one basis on March 31, 2021, and (ii) alternatively, if First National determines that there would be less than 1,000,000 Series 2 Preference Shares outstanding on March 31, 2021, then all remaining Series 2 Preference Shares will automatically be converted into Series 1 Preference Shares on a one-for-one basis on March 31, 2021. In either case, First National shall give a written notice to that effect to holders of both Series 1 and Series 2 Preference Shares no later than March 24, 2021.

Deadline to Exercise Right

Beneficial owners of Series 1 Preference Shares and Series 2 Preference Shares who wish to exercise their right of conversion should communicate as soon as possible with their broker or other nominee and ensure that they follow their instructions in order to ensure that they meet the deadline to exercise such right, which is 5:00 p.m. (Toronto time) on March 16, 2021.

Dividend Rate

On March 2, 2021, the Company will announce by way of a news release:

i) The dividend rate applicable to the Series 1 Preference Shares for the five-year period commencing on April 1, 2021, and ending on March 31, 2026,

ii) The dividend rate applicable to the Series 2 Preference Shares for the three-month period commencing on April 1, 2021, and ending on June 30, 2021.

The dividend rates will be determined in accordance with the terms of the respective classes of preference shares.

FN.PR.A was issued as a FixedReset, 4.65%+207, that commenced trading 2011-1-25 after being announced 2011-1-17. Notice of extension was given in February, 2016 and the issue reset to 2.79%. I recommended against conversion, but there was a 28% conversion to FloatingReset anyway.

FN.PR.B is a FloatingReset, Bills+207, that arose via a 28% conversion from FN.PR.A in 2016.

Market Action

February 19, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 1.7020 % 2,289.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.7020 % 4,201.2
Floater 3.78 % 3.83 % 51,909 17.74 3 1.7020 % 2,421.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.4789 % 3,666.4
SplitShare 4.71 % 4.27 % 35,327 4.20 8 0.4789 % 4,378.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4789 % 3,416.3
Perpetual-Premium 5.34 % -1.18 % 72,517 0.08 19 -0.0966 % 3,247.5
Perpetual-Discount 4.93 % 4.98 % 92,466 15.44 13 -0.1618 % 3,764.4
FixedReset Disc 4.60 % 3.59 % 176,831 17.91 56 -0.0792 % 2,552.1
Insurance Straight 4.95 % 4.55 % 80,188 15.30 22 -0.0234 % 3,632.2
FloatingReset 3.05 % 2.58 % 29,178 20.79 2 0.9947 % 2,263.9
FixedReset Prem 5.13 % 3.39 % 225,661 0.91 20 -0.1510 % 2,707.3
FixedReset Bank Non 1.80 % 1.70 % 185,887 0.94 1 0.0000 % 2,892.0
FixedReset Ins Non 4.43 % 3.38 % 125,002 18.29 22 -0.2677 % 2,750.9
Performance Highlights
Issue Index Change Notes
TRP.PR.C FixedReset Disc -8.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-19
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 4.41 %
MFC.PR.J FixedReset Ins Non -3.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-19
Maturity Price : 22.83
Evaluated at bid price : 23.15
Bid-YTW : 3.56 %
TRP.PR.B FixedReset Disc -2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-19
Maturity Price : 11.16
Evaluated at bid price : 11.16
Bid-YTW : 3.98 %
NA.PR.G FixedReset Disc -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-19
Maturity Price : 22.95
Evaluated at bid price : 23.86
Bid-YTW : 3.59 %
SLF.PR.G FixedReset Ins Non -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-19
Maturity Price : 14.68
Evaluated at bid price : 14.68
Bid-YTW : 3.25 %
CU.PR.F Perpetual-Discount -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-19
Maturity Price : 23.57
Evaluated at bid price : 23.98
Bid-YTW : 4.68 %
SLF.PR.H FixedReset Ins Non -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-19
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 3.25 %
PWF.PR.P FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-19
Maturity Price : 14.83
Evaluated at bid price : 14.83
Bid-YTW : 3.51 %
IAF.PR.I FixedReset Ins Non -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-19
Maturity Price : 23.26
Evaluated at bid price : 24.26
Bid-YTW : 3.47 %
TRP.PR.F FloatingReset 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-19
Maturity Price : 13.99
Evaluated at bid price : 13.99
Bid-YTW : 3.59 %
BAM.PF.B FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-19
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 4.21 %
IFC.PR.A FixedReset Ins Non 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-19
Maturity Price : 17.59
Evaluated at bid price : 17.59
Bid-YTW : 3.33 %
BAM.PF.E FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-19
Maturity Price : 18.93
Evaluated at bid price : 18.93
Bid-YTW : 4.22 %
CU.PR.C FixedReset Disc 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-19
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 3.70 %
BAM.PR.X FixedReset Disc 2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-19
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 3.87 %
BAM.PR.B Floater 3.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-19
Maturity Price : 11.44
Evaluated at bid price : 11.44
Bid-YTW : 3.79 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.G Perpetual-Premium 277,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-03-21
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : -5.52 %
TD.PF.H FixedReset Prem 267,480 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 2.62 %
MIC.PR.A Perpetual-Premium 91,677 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2030-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 5.21 %
BNS.PR.E FixedReset Prem 86,458 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 3.39 %
IFC.PR.C FixedReset Ins Non 57,385 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-19
Maturity Price : 22.03
Evaluated at bid price : 22.62
Bid-YTW : 3.48 %
TD.PF.K FixedReset Disc 55,815 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-19
Maturity Price : 22.92
Evaluated at bid price : 23.79
Bid-YTW : 3.42 %
There were 53 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.J FixedReset Ins Non Quote: 23.15 – 24.37
Spot Rate : 1.2200
Average : 0.7858

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-19
Maturity Price : 22.83
Evaluated at bid price : 23.15
Bid-YTW : 3.56 %
TRP.PR.C FixedReset Disc Quote: 11.50 – 12.42
Spot Rate : 0.9200
Average : 0.5513

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-19
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 4.41 %
EIT.PR.B SplitShare Quote: 25.66 – 26.66
Spot Rate : 1.0000
Average : 0.6730

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.66
Bid-YTW : 4.02 %
RY.PR.M FixedReset Disc Quote: 22.19 – 24.30
Spot Rate : 2.1100
Average : 1.7916

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-19
Maturity Price : 21.78
Evaluated at bid price : 22.19
Bid-YTW : 3.45 %
PWF.PR.P FixedReset Disc Quote: 14.83 – 15.54
Spot Rate : 0.7100
Average : 0.4538

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-19
Maturity Price : 14.83
Evaluated at bid price : 14.83
Bid-YTW : 3.51 %
PWF.PR.T FixedReset Disc Quote: 21.55 – 22.45
Spot Rate : 0.9000
Average : 0.6685

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-19
Maturity Price : 21.27
Evaluated at bid price : 21.55
Bid-YTW : 3.54 %
Issue Comments

MIC.PR.A Strong On Excellent Volume

Sagen MI Canada Inc. has announced:

the closing of its previously announced bought deal offering (the “Offering”) of 4,000,000 non-cumulative Class A Preferred Shares, Series 1 (the “Series 1 Shares”). The Offering was underwritten by a syndicate of underwriters led by BMO Capital Markets, CIBC World Markets, National Bank Financial, RBC Capital Markets, Scotia Capital and TD Securities, and resulted in gross proceeds of C$100 million.

Each Series 1 Share entitles the holder thereof to fixed, non-cumulative dividends, if, as and when declared by the board of directors of the Company, with an annual dividend yield of 5.40%. Such dividends, if, declared, will be paid on the last day of March, June, September and December in each year at a rate equal to $0.3375 per Series 1 Share. The initial dividend, if declared, will be paid on June 30, 2021 and will be $0.48822 per Series 1 Share. The Series 1 Shares will commence trading today on the Toronto Stock Exchange under the symbol MIC.PR.A.

The Company intends to use the net proceeds of the Offering to strengthen the Company’s capital base, for distributions to shareholders (subject to the completion of the previously announced plan of arrangement (the “Arrangement”) pursuant to which Brookfield Business Partners L.P., together with certain of its affiliates and institutional partners (“Brookfield”), will acquire all of the outstanding common shares of the Company not already owned by Brookfield), and/or for general corporate purposes.

Following the closing of the Arrangement, in order to maintain in force an exemption order from the public voting requirement currently in section 411 of the Insurance Companies Act (Canada) that has been granted to Genworth Financial Mortgage Insurance Company Canada (a wholly-owned subsidiary of the Company doing business as Sagen™), and subject to certain other limitations and conditions, the Class A Preferred Shares, as a class, will carry adjustable voting rights to ensure that, at any given time, 35% of the voting rights in the Company will be held by persons who, among other things, do not hold 20% or more of any class of voting shares of the Company.

MIC.PR.A is a Straight Perpetual, 5.40%, that was announced 2021-2-8.

The issue traded 649,600 shares today in a range of 25.08-48. It has been assigned to the PerpetualPremium subindex. Vital statistics are:

MIC.PR.A Perpetual-Premium YTW SCENARIO
Maturity Type : Call
Maturity Date : 2030-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 5.19 %
Market Action

February 18, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.2394 % 2,251.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2394 % 4,130.9
Floater 3.84 % 3.87 % 53,403 17.66 3 0.2394 % 2,380.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.2436 % 3,648.9
SplitShare 4.68 % 4.27 % 35,055 3.66 8 0.2436 % 4,357.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2436 % 3,400.0
Perpetual-Premium 5.33 % -1.66 % 70,698 0.08 19 0.1236 % 3,250.6
Perpetual-Discount 4.92 % 4.96 % 87,128 15.43 13 0.3529 % 3,770.5
FixedReset Disc 4.59 % 3.56 % 177,230 17.90 56 0.3662 % 2,554.1
Insurance Straight 4.95 % 4.61 % 80,137 15.32 22 -0.0342 % 3,633.0
FloatingReset 3.08 % 2.61 % 29,207 20.72 2 5.9864 % 2,241.6
FixedReset Prem 5.12 % 2.93 % 227,502 0.91 20 -0.0725 % 2,711.4
FixedReset Bank Non 1.80 % 1.69 % 182,340 0.94 1 0.0000 % 2,892.0
FixedReset Ins Non 4.42 % 3.37 % 115,328 18.34 22 -0.0715 % 2,758.3
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset Ins Non -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-18
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 3.38 %
NA.PR.E FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-18
Maturity Price : 22.71
Evaluated at bid price : 23.01
Bid-YTW : 3.50 %
MFC.PR.J FixedReset Ins Non -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-18
Maturity Price : 23.64
Evaluated at bid price : 23.95
Bid-YTW : 3.44 %
TRP.PR.G FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-18
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 4.40 %
BAM.PF.E FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-18
Maturity Price : 18.63
Evaluated at bid price : 18.63
Bid-YTW : 4.29 %
MFC.PR.Q FixedReset Ins Non 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-18
Maturity Price : 23.10
Evaluated at bid price : 24.02
Bid-YTW : 3.33 %
TD.PF.J FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-18
Maturity Price : 23.21
Evaluated at bid price : 24.20
Bid-YTW : 3.40 %
BAM.PF.D Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-18
Maturity Price : 24.55
Evaluated at bid price : 24.79
Bid-YTW : 5.00 %
MFC.PR.I FixedReset Ins Non 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-18
Maturity Price : 23.63
Evaluated at bid price : 24.80
Bid-YTW : 3.41 %
BAM.PF.B FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-18
Maturity Price : 19.82
Evaluated at bid price : 19.82
Bid-YTW : 4.27 %
EIT.PR.A SplitShare 1.57 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 3.87 %
BAM.PR.T FixedReset Disc 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-18
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.11 %
NA.PR.G FixedReset Disc 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-18
Maturity Price : 23.13
Evaluated at bid price : 24.25
Bid-YTW : 3.52 %
BAM.PF.A FixedReset Disc 2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-18
Maturity Price : 21.63
Evaluated at bid price : 22.05
Bid-YTW : 4.13 %
BAM.PF.G FixedReset Disc 2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-18
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 4.21 %
CU.PR.F Perpetual-Discount 3.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-18
Maturity Price : 23.83
Evaluated at bid price : 24.30
Bid-YTW : 4.62 %
BAM.PF.F FixedReset Disc 3.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-18
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 4.26 %
TRP.PR.F FloatingReset 13.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-18
Maturity Price : 13.85
Evaluated at bid price : 13.85
Bid-YTW : 3.63 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MIC.PR.A Perpetual-Premium 649,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2030-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 5.19 %
NA.PR.A FixedReset Prem 276,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 2.67 %
IFC.PR.E Insurance Straight 148,050 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 25.55
Bid-YTW : 5.05 %
BNS.PR.E FixedReset Prem 103,876 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 2.90 %
BMO.PR.B FixedReset Prem 102,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.62
Bid-YTW : 2.31 %
TD.PF.H FixedReset Prem 94,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.44
Bid-YTW : 2.66 %
There were 33 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.M FixedReset Disc Quote: 22.26 – 24.30
Spot Rate : 2.0400
Average : 1.4424

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-18
Maturity Price : 21.83
Evaluated at bid price : 22.26
Bid-YTW : 3.44 %
NA.PR.E FixedReset Disc Quote: 23.01 – 23.66
Spot Rate : 0.6500
Average : 0.3835

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-18
Maturity Price : 22.71
Evaluated at bid price : 23.01
Bid-YTW : 3.50 %
TRP.PR.D FixedReset Disc Quote: 18.15 – 18.88
Spot Rate : 0.7300
Average : 0.5401

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-18
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 4.22 %
IFC.PR.A FixedReset Ins Non Quote: 17.33 – 17.85
Spot Rate : 0.5200
Average : 0.3542

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-18
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 3.38 %
BAM.PF.J FixedReset Disc Quote: 25.10 – 25.48
Spot Rate : 0.3800
Average : 0.2450

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-18
Maturity Price : 23.66
Evaluated at bid price : 25.10
Bid-YTW : 4.71 %
IFC.PR.F Insurance Straight Quote: 25.85 – 27.24
Spot Rate : 1.3900
Average : 1.2616

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-09-30
Maturity Price : 25.25
Evaluated at bid price : 25.85
Bid-YTW : 4.87 %
Market Action

February 17, 2021

PerpetualDiscounts now yield 4.89%, equivalent to 6.36% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.01%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is sharply wider at 335bp than the 310bp reported February 10.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.2687 % 2,245.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2687 % 4,121.0
Floater 3.85 % 3.88 % 53,479 17.62 3 -0.2687 % 2,375.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0973 % 3,640.1
SplitShare 4.69 % 4.42 % 36,494 4.13 8 -0.0973 % 4,347.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0973 % 3,391.7
Perpetual-Premium 5.34 % -1.39 % 72,294 0.08 18 -0.1300 % 3,246.6
Perpetual-Discount 4.93 % 4.89 % 83,762 15.44 13 -0.0406 % 3,757.3
FixedReset Disc 4.61 % 3.61 % 172,797 17.91 56 0.1228 % 2,544.8
Insurance Straight 4.95 % 4.66 % 81,539 15.32 22 0.0144 % 3,634.2
FloatingReset 3.27 % 2.59 % 28,940 20.77 2 -6.8724 % 2,115.0
FixedReset Prem 5.12 % 2.88 % 229,684 0.92 20 -0.0803 % 2,713.4
FixedReset Bank Non 1.80 % 1.69 % 174,300 0.94 1 0.0000 % 2,892.0
FixedReset Ins Non 4.41 % 3.37 % 115,970 18.34 22 -0.1793 % 2,760.3
Performance Highlights
Issue Index Change Notes
TRP.PR.F FloatingReset -11.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 12.17
Evaluated at bid price : 12.17
Bid-YTW : 4.13 %
SLF.PR.J FloatingReset -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 14.39
Evaluated at bid price : 14.39
Bid-YTW : 2.59 %
BAM.PF.D Perpetual-Discount -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 24.20
Evaluated at bid price : 24.51
Bid-YTW : 5.05 %
BIP.PR.E FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 23.26
Evaluated at bid price : 24.27
Bid-YTW : 5.17 %
BAM.PF.F FixedReset Disc -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.41 %
EIT.PR.A SplitShare -1.54 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.42 %
TD.PF.J FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 23.08
Evaluated at bid price : 23.93
Bid-YTW : 3.45 %
MFC.PR.I FixedReset Ins Non -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 24.17
Evaluated at bid price : 24.50
Bid-YTW : 3.52 %
MFC.PR.N FixedReset Ins Non -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 21.81
Evaluated at bid price : 22.18
Bid-YTW : 3.36 %
TD.PF.D FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 22.51
Evaluated at bid price : 23.36
Bid-YTW : 3.45 %
BMO.PR.Y FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 22.00
Evaluated at bid price : 22.50
Bid-YTW : 3.49 %
TRP.PR.D FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.26 %
BIP.PR.A FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 22.38
Evaluated at bid price : 23.11
Bid-YTW : 4.37 %
TRP.PR.E FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 17.89
Evaluated at bid price : 17.89
Bid-YTW : 4.25 %
MFC.PR.J FixedReset Ins Non 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 23.26
Evaluated at bid price : 24.25
Bid-YTW : 3.34 %
CU.PR.F Perpetual-Discount 2.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 23.29
Evaluated at bid price : 23.54
Bid-YTW : 4.78 %
PWF.PR.P FixedReset Disc 3.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 3.49 %
NA.PR.E FixedReset Disc 3.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 23.05
Evaluated at bid price : 23.35
Bid-YTW : 3.45 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.F FloatingReset 100,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 12.17
Evaluated at bid price : 12.17
Bid-YTW : 4.13 %
SLF.PR.B Insurance Straight 76,306 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 24.84
Evaluated at bid price : 25.07
Bid-YTW : 4.84 %
BNS.PR.H FixedReset Prem 70,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.63
Bid-YTW : 2.45 %
MFC.PR.L FixedReset Ins Non 68,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 21.34
Evaluated at bid price : 21.65
Bid-YTW : 3.29 %
TD.PF.H FixedReset Prem 66,193 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.44
Bid-YTW : 2.65 %
CU.PR.C FixedReset Disc 62,780 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 3.76 %
There were 43 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.F FloatingReset Quote: 12.17 – 14.00
Spot Rate : 1.8300
Average : 1.0818

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 12.17
Evaluated at bid price : 12.17
Bid-YTW : 4.13 %
IFC.PR.F Insurance Straight Quote: 25.85 – 27.24
Spot Rate : 1.3900
Average : 1.1208

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-09-30
Maturity Price : 25.25
Evaluated at bid price : 25.85
Bid-YTW : 4.87 %
EIT.PR.A SplitShare Quote: 25.50 – 26.15
Spot Rate : 0.6500
Average : 0.4200

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.42 %
BAM.PF.F FixedReset Disc Quote: 20.00 – 20.74
Spot Rate : 0.7400
Average : 0.5244

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.41 %
MFC.PR.Q FixedReset Ins Non Quote: 23.76 – 24.25
Spot Rate : 0.4900
Average : 0.2992

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 22.97
Evaluated at bid price : 23.76
Bid-YTW : 3.38 %
MFC.PR.I FixedReset Ins Non Quote: 24.50 – 25.05
Spot Rate : 0.5500
Average : 0.3790

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 24.17
Evaluated at bid price : 24.50
Bid-YTW : 3.52 %
Market Action

February 16, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 4.3289 % 2,251.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 4.3289 % 4,132.1
Floater 3.84 % 3.88 % 55,442 17.63 3 4.3289 % 2,381.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0219 % 3,643.6
SplitShare 4.68 % 4.38 % 36,617 3.66 8 -0.0219 % 4,351.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0219 % 3,395.0
Perpetual-Premium 5.33 % -4.22 % 70,987 0.08 18 0.0282 % 3,250.8
Perpetual-Discount 4.93 % 4.91 % 81,083 15.48 13 -0.3887 % 3,758.8
FixedReset Disc 4.61 % 3.60 % 178,305 17.88 56 0.7740 % 2,541.6
Insurance Straight 4.95 % 4.67 % 82,673 15.30 22 -0.0324 % 3,633.7
FloatingReset 3.04 % 2.53 % 29,836 20.92 2 2.2956 % 2,271.1
FixedReset Prem 5.11 % 2.57 % 227,925 0.92 20 0.0529 % 2,715.5
FixedReset Bank Non 1.80 % 1.68 % 171,484 0.95 1 0.0000 % 2,892.0
FixedReset Ins Non 4.41 % 3.36 % 111,444 18.36 22 0.2656 % 2,765.2
Performance Highlights
Issue Index Change Notes
CU.PR.F Perpetual-Discount -5.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 22.66
Evaluated at bid price : 22.92
Bid-YTW : 4.91 %
MFC.PR.J FixedReset Ins Non -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 23.56
Evaluated at bid price : 23.87
Bid-YTW : 3.45 %
CM.PR.Q FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 22.15
Evaluated at bid price : 22.73
Bid-YTW : 3.55 %
PWF.PR.T FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 21.37
Evaluated at bid price : 21.37
Bid-YTW : 3.60 %
IFC.PR.G FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 22.52
Evaluated at bid price : 23.00
Bid-YTW : 3.55 %
BAM.PF.F FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 4.33 %
RY.PR.Z FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 21.70
Evaluated at bid price : 21.96
Bid-YTW : 3.23 %
BAM.PF.A FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 4.27 %
TD.PF.K FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 22.89
Evaluated at bid price : 23.73
Bid-YTW : 3.42 %
TRP.PR.C FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 12.35
Evaluated at bid price : 12.35
Bid-YTW : 4.10 %
TD.PF.J FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 23.25
Evaluated at bid price : 24.30
Bid-YTW : 3.38 %
BAM.PR.Z FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 4.14 %
TD.PF.D FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 22.63
Evaluated at bid price : 23.60
Bid-YTW : 3.40 %
IFC.PR.A FixedReset Ins Non 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 3.34 %
SLF.PR.H FixedReset Ins Non 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 20.99
Evaluated at bid price : 20.99
Bid-YTW : 3.21 %
BAM.PR.X FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 14.58
Evaluated at bid price : 14.58
Bid-YTW : 4.03 %
RY.PR.J FixedReset Disc 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 22.32
Evaluated at bid price : 23.00
Bid-YTW : 3.46 %
TRP.PR.A FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 15.38
Evaluated at bid price : 15.38
Bid-YTW : 4.33 %
TRP.PR.F FloatingReset 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 13.82
Evaluated at bid price : 13.82
Bid-YTW : 3.63 %
BAM.PF.B FixedReset Disc 2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 4.33 %
SLF.PR.J FloatingReset 2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 2.53 %
BAM.PF.G FixedReset Disc 2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.35 %
TD.PF.C FixedReset Disc 2.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 21.86
Evaluated at bid price : 22.24
Bid-YTW : 3.30 %
BAM.PR.T FixedReset Disc 3.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 4.16 %
BAM.PR.C Floater 3.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 11.13
Evaluated at bid price : 11.13
Bid-YTW : 3.89 %
PWF.PR.P FixedReset Disc 3.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 3.61 %
BAM.PF.E FixedReset Disc 3.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 4.33 %
MFC.PR.F FixedReset Ins Non 3.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 3.03 %
BAM.PR.K Floater 4.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 11.16
Evaluated at bid price : 11.16
Bid-YTW : 3.88 %
BAM.PR.R FixedReset Disc 4.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 17.19
Evaluated at bid price : 17.19
Bid-YTW : 4.11 %
BAM.PR.B Floater 5.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 11.21
Evaluated at bid price : 11.21
Bid-YTW : 3.86 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.L Perpetual-Discount 125,750 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-03-18
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 2.29 %
CM.PR.R FixedReset Disc 111,229 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 23.75
Evaluated at bid price : 25.00
Bid-YTW : 3.85 %
TD.PF.J FixedReset Disc 91,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 23.25
Evaluated at bid price : 24.30
Bid-YTW : 3.38 %
MFC.PR.C Insurance Straight 76,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 24.85
Evaluated at bid price : 25.06
Bid-YTW : 4.55 %
SLF.PR.D Insurance Straight 74,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 24.60
Evaluated at bid price : 24.85
Bid-YTW : 4.52 %
CU.PR.G Perpetual-Discount 73,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 23.97
Evaluated at bid price : 24.26
Bid-YTW : 4.63 %
There were 47 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.M FixedReset Disc Quote: 22.24 – 24.30
Spot Rate : 2.0600
Average : 1.3763

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 21.82
Evaluated at bid price : 22.24
Bid-YTW : 3.44 %
BAM.PF.E FixedReset Disc Quote: 18.45 – 22.24
Spot Rate : 3.7900
Average : 3.1466

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 4.33 %
CU.PR.F Perpetual-Discount Quote: 22.92 – 24.50
Spot Rate : 1.5800
Average : 0.9557

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 22.66
Evaluated at bid price : 22.92
Bid-YTW : 4.91 %
IFC.PR.F Insurance Straight Quote: 25.85 – 27.24
Spot Rate : 1.3900
Average : 0.8256

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-09-30
Maturity Price : 25.25
Evaluated at bid price : 25.85
Bid-YTW : 4.87 %
CU.PR.I FixedReset Prem Quote: 25.61 – 26.40
Spot Rate : 0.7900
Average : 0.4864

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 3.92 %
EIT.PR.B SplitShare Quote: 25.96 – 26.96
Spot Rate : 1.0000
Average : 0.7599

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.96
Bid-YTW : 4.01 %